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Popular repositories Loading

  1. DermanPapers DermanPapers Public

    Notebooks that replicate original quantitative finance papers from Emanuel Derman

    Jupyter Notebook 355 53

  2. StatisticalConsequencesOfFatTails StatisticalConsequencesOfFatTails Public

    Python / R / Mathematica / ___ code and commentaries based on Nassim Taleb's "Statistical Consequences of Fat Tails" - Feel free to contribute

    Mathematica 83 10

  3. LimitOrderBooks LimitOrderBooks Public

    Basic Limit Order Book functions

    Jupyter Notebook 16 8

  4. Hawkes-With-Latency Hawkes-With-Latency Public

    Hawkes with Latency

    Jupyter Notebook 15 1

  5. BrazilianDerivatives BrazilianDerivatives Public

    Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"

    Jupyter Notebook 13 1

  6. ICMCMasters ICMCMasters Public

    Papers and Code for the Masters course “Métodos matemáticos aplicados a derivativos e ao mercado brasileiro”

    Jupyter Notebook 2 3